Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0037 |
| Annualized Std Dev | 0.2401 |
| Annualized Sharpe (Rf=0%) | -0.0154 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4315.0000 |
| NAs | 1.0000 |
| Minimum | -0.1703 |
| Quartile 1 | -0.0056 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1357 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0151 |
| Skewness | -1.0057 |
| Kurtosis | 19.5595 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0135 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0114 |
| Downside Deviation (0%) | 0.0114 |
| Maximum Drawdown | 0.7834 |
| Historical VaR (95%) | -0.0214 |
| Historical ES (95%) | -0.0378 |
| Modified VaR (95%) | -0.0228 |
| Modified ES (95%) | -0.0446 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | NA | -0.7834 | 3474 | 444 | NA |
| 2004-02-09 | 2004-05-17 | 2005-07-27 | -0.2165 | 370 | 69 | 301 |
| 2006-12-20 | 2007-03-05 | 2007-04-16 | -0.1102 | 78 | 49 | 29 |
| 2005-09-13 | 2005-10-13 | 2005-12-05 | -0.0741 | 59 | 23 | 36 |
| 2006-05-11 | 2006-06-14 | 2006-07-31 | -0.0687 | 56 | 24 | 32 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | -0.1 | 0 | 0.4 | -0.2 | 0.5 | 0.7 | 1.3 | 2.1 | 0.9 | 1.3 | 0.1 | 0.9 | 8.1 |
| 2005 | 0.1 | 0.4 | 1.2 | 1.4 | 0.3 | 0.6 | 1 | 0.5 | 0.7 | 1.3 | 1.4 | -0.4 | 8.7 |
| 2006 | 0.2 | 1.1 | 0.4 | 0.2 | 0.5 | 1.4 | -0.1 | 0.1 | -2.1 | -0.4 | 0.7 | -1.2 | 0.7 |
| 2007 | -0.4 | 0.1 | 0 | -0.7 | 0 | -0.2 | -0.7 | 1.3 | 0.3 | -2.2 | 1.4 | 0.8 | -0.5 |
| 2008 | 1.8 | -2.5 | 3.6 | 0.5 | -0.4 | 0.6 | 0.9 | 0.2 | 2.2 | 2.9 | -10.4 | 5.9 | 4.3 |
| 2009 | -3 | -2.9 | 2 | 1.7 | 3.6 | 0.6 | 2 | -2.6 | -1.8 | -4.2 | 0.4 | -0.4 | -4.9 |
| 2010 | 1 | 1.4 | 0.8 | -1 | -0.7 | -1.8 | 1.1 | 2.5 | 0.7 | 0.3 | 0.4 | 0.6 | 5.3 |
| 2011 | 1.5 | -0.7 | 0.8 | 0.4 | -1 | 0.7 | 0.8 | -0.1 | -1.9 | -2.7 | 0.4 | 0.2 | -1.7 |
| 2012 | 0.1 | 0.8 | 0.5 | -0.3 | -3.1 | 2.3 | 0 | -0.1 | 0.5 | 1.3 | 1.2 | 1.6 | 4.9 |
| 2013 | -0.3 | 0.9 | -0.9 | -0.8 | -3.1 | 0.3 | 0.3 | 0.8 | 0.8 | 0.6 | 0.5 | -0.2 | -1.1 |
| 2014 | -0.7 | 0 | 0.7 | 0.2 | 0.4 | 1 | -1.8 | 0.3 | -1.4 | 0.9 | -2 | -0.7 | -3.1 |
| 2015 | -0.8 | 0.1 | -0.2 | 0.6 | 0.3 | 0.8 | 0.5 | -1.3 | 0.9 | 1.6 | 0.3 | -0.4 | 2.3 |
| 2016 | 0.2 | 2.7 | 0.6 | -0.4 | 0.5 | 0.3 | -0.5 | 0.3 | -0.1 | -1.3 | -0.8 | -0.2 | 1.3 |
| 2017 | 0.6 | 0.9 | -0.1 | -0.6 | 0.8 | 1.3 | -0.2 | 1.3 | 1.4 | 0.9 | 0.8 | 0 | 7.3 |
| 2018 | -0.7 | -1.2 | 1.1 | -0.2 | 0.2 | 0.5 | 0.7 | 0.1 | 0.3 | 1.5 | 1 | -0.3 | 3 |
| 2019 | -0.1 | 0.6 | 1.1 | 0.1 | -1.1 | 1.3 | -1.1 | 0.9 | -0.9 | 0.8 | -0.5 | 0.3 | 1.5 |
| 2020 | -1.2 | -3.6 | -7.4 | -2.4 | 2.1 | 0.1 | -0.4 | 0.3 | 0.6 | -1 | 0.9 | 0.9 | -10.9 |
| 2021 | 1.7 | 2.2 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-01-28 20 SPY 113. -0.0114 -0.015 0.0335 0.094 0.321 -0.160 -0.075 <NA> NA NA NA
2 2004-01-29 20.0 SPY 113. 0.001 -0.0115 0.0209 0.0804 0.312 -0.165 -0.0835 <NA> NA NA NA
3 2004-01-30 20 SPY 113. 0 -0.0083 0.0207 0.0789 0.344 -0.168 -0.0998 <NA> NA NA NA
4 2004-02-02 20.0 SPY 114. 0.0043 -0.0164 0.0242 0.0813 0.324 -0.162 -0.0853 <NA> NA NA NA
5 2004-02-03 20 SPY 114. -0.0017 -0.0078 0.0229 0.0805 0.320 -0.163 -0.102 <NA> NA NA NA
6 2004-02-04 20.1 SPY 113. -0.0082 -0.0046 0.0036 0.0647 0.322 -0.174 -0.116 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
